You can now find SIM-Free Lumia Phones on MicrosoftStore.com. Initially the UK and US stores offer the most options in their store, later on the regional stores will also offer same thing or at least something.

MicrosoftStore.com Now Offers Unlocked Lumia Smartphones

The US store offers the Lumia 830 ($450), Lumia 535 ($150), Lumia 635 ($130), among others. In the UK featured headsets include Lumia 830 (£270), Lumia 435 (£60) and Lumia 640 XL LTE (£220) and few others.

The Microsoft Store will also let you buy some accessories from it. You can also check lists from UK MicrosoftStore.com and US MicrosoftStore.com